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Model Selection and Simplification Using Lattices

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Author Info

  • Jaromir Antoch

    (Charles University)

  • Jan Hanousek

    (CERGE-EI)

Abstract

This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to deter- mine the best model with respect to chosen criteria.

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File URL: http://128.118.178.162/eps/em/papers/0012/0012004.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0012004.

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Length: 36 pages
Date of creation: 12 Feb 2001
Date of revision:
Handle: RePEc:wpa:wuwpem:0012004

Note: Type of Document - Acrobat PDF; pages: 36 ; figures: included
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Web page: http://128.118.178.162

Related research

Keywords: Model selection and simplification; Principle of coherence; Lattice of models; Regression; ARMA models;

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  1. Damiani, Mirella & Panattoni, Lorenzo, 1992. "Optimal simulation with econometric models," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 93-108, January.
  2. repec:cup:etheor:v:6:y:1990:i:2:p:171-261 is not listed on IDEAS
  3. Hendry, David F. & Learmer, Edward E. & Poirier, Dale J., 1990. "A Conversation on Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 6(02), pages 171-261, June.
  4. Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
  5. Bearse, Peter M & Bozdogan, Hamparsum & Schlottmann, Alan M, 1997. "Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 563-86, Sept.-Oct.
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